The top guide that your thread goes into before hitting the the tension, make sure the thread is secure in those guides. When I first started using my Brother I'd forget to snap the thread in there and that would cause problems, the other thing that I would do is forget to put the presser foot down, this willl also cause the same type of problem. Go to brother's website and send them a message or look under the troubleshooting part

Another suggestion is to make sure the threads are done in order. I found a tutorial on line that helped me learn how to thread my serger. I have a brother 1034D. Not the same as yours, but, maybe you can find a demo on line.